Description
"This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations." -E. B. Dynkin, Mathematical Reviews
This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Ito lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds.
Originally published in 1969, this classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.
Book Information
ISBN 9781470477875
Author Henry P. McKean
Format Paperback
Page Count 141
Imprint American Mathematical Society
Publisher American Mathematical Society
This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Ito lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds.
Originally published in 1969, this classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.
Book Information
ISBN 9781470477875
Author Henry P. McKean
Format Paperback
Page Count 141
Imprint American Mathematical Society
Publisher American Mathematical Society
